[Extending docs] How to Install Azure CLI in the Jenkins Host

I am new to Jenkins, so this might be beginners suggestion, but it is not quite clear to me what does it mean Install Azure CLI in the Jenkins Host? Should it be one time installation done by connecting to the host and running bash commands to install the Azure CLI or done from within the pipeline as some configuration step? I know the steps to install the Azure CLI, my question is more related to jenkins concepts I believe. Thank you.